Bank Earnings Forecasts, Risk and the Crisis

Anolli, Mario; Beccalli, Elena; Molyneux, Philip

doi:10.2139/ssrn.1944729

Cited by 6 publications

(11 citation statements)

References 38 publications

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“…• using the means of car and roa, and the standard deviation of roa, all estimated over a rolling window of 4 or 8 periods (Boyd et al, 2006;De Haan and Poghosyan, 2012;Anolli et al, 2014);…”

Section: Bank Risk Variablementioning

confidence: 99%

Re-exploring the nexus between monetary policy and banks' risk-taking

Djatche

2019

Economic Modelling

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Les opinions exprimées dans la série des Documents de travail GREDEG sont celles des auteurs et ne reflèlent pas nécessairement celles de l'institution. Les documents n'ont pas été soumis à un rapport formel et sont donc inclus dans cette série pour obtenir des commentaires et encourager la discussion. Les droits sur les documents appartiennent aux auteurs. The views expressed in the GREDEG Working Paper Series are those of the author(s) and do not necessarily reflect those of the institution. The Working Papers have not undergone formal review and approval. Such papers are included in this series to elicit feedback and to encourage debate. Copyright belongs to the author(s).

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Section: Bank Risk Variablementioning

confidence: 99%

Re-exploring the nexus between monetary policy and banks' risk-taking

Djatche

2019

Economic Modelling

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“…We describe in this section how we construct our measures of opacity. Previous literature (e.g., Flannery et al, 2004;Anolli et al, 2014) has used analysts' forecast errors and forecast dispersions as a measure of opacity to address different questions. Accordingly, we use these proxies as our measures of opacity in this study.…”

Section: Measuring Opacitymentioning

confidence: 99%

“…We present the results in Table A1 in the appendix. Next, although we have used the most recent analyst forecast in our measures of opacity to conform to the extant literature (e.g., Hong and Kubik, 2003;Anolli et al, 2014), we also acknowledge that later forecast errors can be closer to actual earnings announcement and result in smaller forecast errors (O'Brien, 1988); hence, we re-estimate our models again using an alternative calculation of opacity where the first forecast for each period by each analyst is employed. The results are presented in Table A2 in the appendix.…”

Section: Robustness Testsmentioning

confidence: 99%

Bank opacity and risk-taking: Evidence from analysts’ forecasts

Fosu

Ntim

Coffie

et al. 2017

Journal of Financial Stability

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We depart from existing literature by invoking analysts' forecasts to measure banking system opacity and then investigate the impact of such opacity on bank risk-taking, using a large panel of US bank holding companies, over the 1995-2013 period. We uncover three new results. Firstly, we find that opacity increases insolvency risks among banks. Secondly, we establish that the relationship between opacity and bank risktaking is accentuated by the degree of banking market competition. Thirdly, we show that the bank business model moderates the risk-taking incentives of opaque banks, albeit only marginally. Overall, these findings suggest that the analysts' forecast measure of bank opacity is useful for understanding risk-taking by publicly-traded banks, with important implications for bank stability. ✩We thank Iftekhar Hasan (the Editor) and an anonymous referee for their invaluable comments. Our gratitude also goes to Clas Wihlborg and Andy W. Mullineux for their suggestions on the initial draft of the paper. In addition, we are indebted to Bill B. Francis, Olszak Małgorzata (discussant)

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“…First, building on Park (1999), Crouzille et al (2004), and Lepetit et al (2017), a model-based forwardlooking profitability proxy is constructed (Annex 2). The rationale for this approach is to check if bank-specific and macroeconomic fundamentals, which should be taken into account by market analysts, as evidenced by Anolli et al (2014) for European banks, have some impact on bank dividend policy. In constructing the model that generates a fundamental-based profitability proxy for banks, we follow Borio et al (2017) and include both bank-specific and macroeconomic variables.…”

Section: Role Of Forward-looking Variablesmentioning

confidence: 99%

Why European Banks Adjust their Dividend Payouts?

Jarmuzek¹,

Belloni²,

Grodzicki³

2022

IMF Working Papers

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and participants of the ECB seminar for useful comments, discussions, and suggestions. Any errors remain our own. The paper was written when Marco Belloni and Mariusz Jarmuzek worked at the European Central Bank. An earlier, abridged version of this paper was published in the ECB Macroprudential Bulletin No. 13 (June 2021). Daniel Murphy Pineda provided excellent assistance. The views expressed in this paper are those of the authors and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. Equally, the views expressed in this paper are those of the authors and do not necessarily represent the views of the ECB, its Executive Board, or Eurosystem.

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Bank Earnings Forecasts, Risk and the Crisis

Cited by 6 publications

References 38 publications

Re-exploring the nexus between monetary policy and banks' risk-taking

Re-exploring the nexus between monetary policy and banks' risk-taking

Bank opacity and risk-taking: Evidence from analysts’ forecasts

Why European Banks Adjust their Dividend Payouts?

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